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Quantitative Finance 2020 / 04

Least-squares Monte-Carlo methods for optimal stopping investment under CEV models

Ma, Jingtang, Lu, Zhengyang, Li, Wenyuan, Xing, Jie
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Journal:
Quantitative Finance
DOI:
10.1080/14697688.2020.1736325
Date:
April, 2020
File:
PDF, 945 KB
2020
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